Research on Binance Futures Multi-currency Hedging Strategy Part 2

Author: 善, Created: 2020-05-09 16:03:01, Updated: 2020-05-09 16:06:46

The original research report address: https://www.fmz.com/digest-topic/5584 You can read it first, this article won’t have duplicate content. This article will highlights the optimization process of the second strategy. After the optimization, the second strategy is improved obviously, it is recommended to upgrade the strategy according to this article. The backtest engine added the statistics of handling fee.

Why improve

The original biggest problem is the comparison between the latest price and the initial price started by the strategy. As the time passes, it will become more and more deviated. We will accumulate a lot of positions in these currencies. The biggest problem with filtering currencies is that we may still have unique currencies in the future based on our past experience. The following is the performance of non-filtering mode. In fact, when trade_value = 300, in the middle stage of the strategy running, it has already lost everything. Even if it is not, LINK and XTZ also hold positions above 10000USDT, which is too large. Therefore, we must solve this problem in the backtest and pass the test of all currencies.

Since the cause of the problem is to compare with the initial price, it may be more and more biased. We can compare it with the moving average of the past period of time, backtest the full currency and see the results below.

The performance of the strategy has fully met our expectations, and the returns are almost the same. The situation of bursting account positions in the original currency of the entire currencies has also smoothly transitioned, and there is almost no retracement. The same opening position size, almost all leverage is below 1 times, on 12th March 2020 price plunged extreme case, it still does not exceed 4 times, which means that we can increase trade_value, and under the same leverage, double the profit. The final holding position is only BCH exceeding 1000USDT, which is very good.

Why would the position be lowered? Imagine joining the altcoin index unchanged, one coin has increased by 100%, and it will be maintained for a long time. The original strategy will hold short positions of 300 * 100 = 30000USDT for a long time, and the new strategy will eventually track the benchmark price At the latest price, you will not hold any position at the end.

What will happen to the currency with the screening mechanism, with the same parameters, the earlier stage profits performs better, the retracement is smaller, but the overall returns are slightly lower. Therefore, it is recommended to have a screening mechanism.

Parameter optimization

The larger the setting of the Alpha parameter of the exponential moving average, the more sensitive the benchmark price tracking, the less transactions, the lower the final holding position. when lower the leverage, the return also reduced. Lower the maximum retracement, it can increase transaction volume. The specific balance operations need based on the backtest results.

Since the backtest is a 1h K line, it can only be updated once an hour, the real market can be updated faster, and it is necessary to weigh the specific settings comprehensively.